Convert Treasury bill discount to equivalent yield
[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
Discount rate of Treasury bills in decimal. The discount rate basis is actual/360.
Settlement date. Settle must be earlier than Maturity.
Inputs must either be a scalar or a vector of size equal to the number of Treasury bills (NTBILLS) by 1 or 1-by-NTBILLS.
[BEYield MMYield] = tbilldisc2yield(Yield, Settle, Maturity) converts the discount rate on Treasury bills into their respective money-market or bond-equivalent yields.
BEYield is an NTBILLS-by-1 vector of bond-equivalent yields. The bond-equivalent yield basis is actual/365.
MMYield is an NTBILLS-by-1 vector of money-market yields. The money-market yield basis is actual/360.
This example shows how to to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.
Discount = 0.0497; Settle = '01-Oct-02'; Maturity = '31-Mar-03'; [BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
BEYield = 0.0517 MMYield = 0.0510
This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, Volume 1, 3rd edition, pp. 44 - 45 (on Treasury bills), and Money Market and Bond Calculation by Stigum and Robinson.